Fitch Affirms CSMC Series 2009-RR2

Fitch Ratings has affirmed all classes of Credit Suisse First Boston Mortgage Securities Corp. (CSMC), series 2009-RR2. A detailed list of rating actions follows at the end of this release.

This transaction is a resecuritization of a pari passu ownership interest in two commercial mortgage-backed certificates from one transaction, which are not rated by Fitch: MSCI Trust 2007-IQ14 class A-4 and class A-5. As a resecuritization, the classes will receive their cashflows from the underlying bonds, which are backed by a pool of 343 multifamily and commercial mortgage loans and have 33.9% credit enhancement in the underlying transaction as of the December 2013 remittance date. The underlying transaction has a remaining principal balance of approximately $3.4 billion.

KEY RATING DRIVERS

The affirmations reflect sufficient credit enhancement relative to Fitch modeled losses. Overall expected losses for the underlying pool based on original pool balance are slightly above modeled losses from Fitch's prior rating action. The pool has experienced an additional 1.2% of realized losses since Fitch's previous rating action, offset by paydown of approximately 4.4% (of the original balance). Fitch modeled losses of 19.8% (20.2% cumulative transaction losses, which includes losses realized to date) based on expected losses on the specially serviced loans and loans that are not expected to refinance at maturity.

As of the December 2013 distribution date, the pool's aggregate principal balance has decreased 30.5% to $3.4 billion from $4.9 billion at issuance. As of December 2013, there are cumulative interest shortfalls in the amount of $61 million currently affecting classes A-J and A-JFX through S. Fitch has designated 176 loans (63.1%) as Fitch Loans of Concern, which includes 23 specially serviced loans (7.9%). The three largest loans in the pool, representing 22.7% of the current deal balance, have been modified and returned to the master servicer.

RATING SENSITIVITIES

The Rating Outlooks are expected to remain Stable due to increasing credit enhancement of the underlying super senior certificates. Upgrades may be limited due to the high concentration of Fitch Loans of Concerns and modified loans.

Three loans with significant modeled losses were the Beacon Seattle & DC Portfolio (10.8% of the pool balance), PDG Portfolio Roll-up (6.2% of the pool) and City View Center (2.4% of the pool).

The Beacon Seattle & DC Portfolio is the largest loan in the transaction. The pari passu loan transferred to special servicing in April 2010 for imminent default; however, the loan is currently performing under a modification agreement which included a maturity extension to 2017 and incentives for the borrower to sell the underlying properties to pay down the debt. The loan has paid down approximately 51.5% through asset sales and 10 properties remain as of December 2013. Fitch expected losses are based on current performance of the remaining collateral properties.

The PDG Portfolio Roll-up loan was modified in May 2012, and the loan has since been modified and returned to the master servicer. This loan is secured by 11 retail centers in Arizona with a total of 1.53 million square feet (sf) built between 1966 and 2007, and renovated between 1999 and 2007. The servicer reported year-end 2012 debt service coverage ratio (DSCR) remained below 1.0x.

City View Center is secured by a retail property located in Garfield Heights, OH, approximately eight miles from the Cleveland CBD. The asset transferred to special servicing in November 2008 for imminent default as the property lost several tenants, including a Wal-Mart, due to environmental issues. A receiver was appointed in 2009 and litigation surrounding the environmental issue continues. The special servicer continues to pursue all rights and remedies available which may include a repurchase claim against the originator, Morgan Stanley Mortgage Capital. Fitch's analysis does not give credit to any potential repurchase claim.

Fitch has affirmed the following classes:

--$118,800,000* class IQ-A at 'AAAsf'; Outlook Stable;

--$95,100,000** class IQ-A-A at 'AAAsf'; Outlook Stable;

--$23,700,000** class IQ-A-B at 'AAAsf'; Outlook Stable;

--$47,200,000* class IQ-B at 'Asf'; Outlook Stable;

--$23,800,000** class IQ-B-A at 'AAAsf'; Outlook Stable;

--$23,400,000** class IQ-B-B at 'Asf'; Outlook Stable.

*Exchangeable certificates

**Exchangeable REMIC certificates

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (May 24, 2013);

--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (Dec. 11, 2013).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708661

U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=724961

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=814332

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Fitch Ratings
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Jeffrey Diliberto
Director
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Mary MacNeill
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